| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153943 | Statistics & Probability Letters | 2008 | 5 Pages |
Abstract
In this work we motivate the use of second-order stochastic differential equations in economics and finance. We provide an empirical illustration and discuss a parametric second-order stochastic differential equation for stock prices and exchange rates.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
João Nicolau,